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subject:"Theory"
~person:"Martin, Gael M."
~subject:"Markov chain"
~subject:"Stochastic process"
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Search: subject_exact:"Posterior distribution"
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Theory
Markov chain
Stochastic process
Bayes-Statistik
36
Bayesian inference
36
Monte Carlo simulation
15
Monte-Carlo-Simulation
15
Forecasting model
14
Prognoseverfahren
14
Theorie
13
Volatility
13
Volatilität
13
Markov-Kette
12
State space model
12
Zustandsraummodell
12
Stochastischer Prozess
11
Estimation theory
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Schätztheorie
9
Time series analysis
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8
Option pricing theory
7
Optionspreistheorie
7
Bayesian Markov chain Monte Carlo
6
Börsenkurs
6
Share price
6
Hawkes process
5
Bayesian consistency
4
Dynamic price and volatility jumps
4
Financial crisis
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4
Nichtparametrisches Verfahren
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Nonlinear state space model
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Proper scoring rules
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English
22
Author
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Martin, Gael M.
Dijk, Herman K. van
85
Koop, Gary
83
Schorfheide, Frank
71
Casarin, Roberto
69
Ravazzolo, Francesco
55
Tsionas, Efthymios G.
50
Korobilis, Dimitris
45
Clark, Todd E.
37
Marcellino, Massimiliano
36
Strachan, Rodney W.
36
Billio, Monica
33
Carriero, Andrea
33
Chan, Joshua
32
Grassi, Stefano
29
Hoogerheide, Lennart
28
Hoogerheide, Lennart F.
28
Kohn, Robert
27
Bauwens, Luc
26
Del Negro, Marco
24
Lang, Stefan
24
Paap, Richard
24
Huber, Florian
23
Geweke, John
22
Frühwirth-Schnatter, Sylvia
21
Peters, Gareth
21
Pettenuzzo, Davide
21
Kaufmann, Sylvia
20
Kneib, Thomas
20
Koopman, Siem Jan
20
van Dijk, H. K.
20
Gallant, A. Ronald
19
Canova, Fabio
18
Chib, Siddhartha
18
Forbes, Catherine Scipione
18
Dufays, Arnaud
17
Karni, Edi
17
Steel, Mark F. J.
17
Cross, Jamie
16
Rombouts, Jeroen V. K.
16
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Working paper / Department of Econometrics and Business Statistics, Monash University
18
Discussion papers / Department of Economics, University of Albany, State University of New York
1
Econometric reviews
1
International journal of forecasting
1
Journal of applied econometrics
1
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ECONIS (ZBW)
22
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1
ABC-based forecasting in state space models
Weerasinghe, Chaya
;
Loiza-Maya, Ruben
;
Martin, Gael M.
; …
-
2023
Persistent link: https://www.econbiz.de/10014452518
Saved in:
2
Bayesian forecasting in the 21st century : a modern review
Martin, Gael M.
;
Frazier, David T.
;
Loiza-Maya, Ruben
; …
-
2023
Persistent link: https://www.econbiz.de/10014315412
Saved in:
3
Variational Bayes in state space models : inferential and predictive accuracy
Frazier, David T.
;
Loiza-Maya, Ruben
;
Martin, Gael M.
-
2022
Persistent link: https://www.econbiz.de/10013193949
Saved in:
4
Focused Bayesian prediction
Loiza-Maya, Ruben
;
Martin, Gael M.
;
Frazier, David T.
-
2020
Persistent link: https://www.econbiz.de/10012606751
Saved in:
5
Computing Bayes : Bayesian computation from 1763 to the 21st century
Martin, Gael M.
;
Frazier, David T.
;
Robert, Christian P.
-
2020
Persistent link: https://www.econbiz.de/10012607643
Saved in:
6
Forecasting observables with particle filters : any filter will do!
Leung, Patrick
;
Forbes, Catherine Scipione
;
Martin, Gael M.
-
2019
Persistent link: https://www.econbiz.de/10012606152
Saved in:
7
Approximate Bayesian forecasting
Frazier, David T.
;
Maneesoonthorn, Worapree
;
Martin, Gael M.
-
2018
Persistent link: https://www.econbiz.de/10012583287
Saved in:
8
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
9
Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2017
Persistent link: https://www.econbiz.de/10011782238
Saved in:
10
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2016
-
Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
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